Setting an upper limit on an estimate

I have used MCMC to estimate the value of a parameter $$\theta$$ from some data. I have thousands of samples from the (marginal) posterior distribution. The distribution of $$\theta$$ is roughly Normally distributed around zero. I can calculate the mean/median/standard deviations/quantiles/etc., no problem. What I am wondering is: how to calculate an upper bound on $$|\theta|$$? (Perhaps for a given confidence level?)

• Are you wanting the Bayesian version of a confidence interval (called a credible interval) and by upper bound do you just mean you want a one sided interval? – Robert Montgomery Apr 20 at 1:54
• @RobertMontgomery Sure, a credible interval would be fine. I am not sure if a one-sided interval is what I want. One thing I am thinking of doing is taking the absolute value of all the samples and then calculating the number $x$ where 95% of the samples are less than $x$. Does that make sense? – rhombidodecahedron Apr 20 at 16:11